Results 281 to 290 of about 7,709 (301)

Conditional Heteroskedasticity

2004
openaire   +1 more source

The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests

Journal of Statistical Computation and Simulation, 2000
Jan M Podivinsky
exaly  

Conditional heteroskedasticity

2018
openaire   +1 more source

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Journal of Empirical Finance, 2001
Christian M Hafner, Helmut Herwartz
exaly  

Causality tests and conditional heteroskedasticity:

Journal of Econometrics, 2001
openaire   +1 more source

Testing for multivariate autoregressive conditional heteroskedasticity using wavelets

Computational Statistics and Data Analysis, 2006
Pierre Duchesne
exaly  

Chapter 10 Conditional Heteroskedasticity and Cross-Sectional Dependence in Panel Data: An Empirical Study of Inflation Uncertainty in the G7 countries

Contributions To Economic Analysis, 2006
Rodolfo Cermeño, Kevin B Grier
exaly  

ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY

Journal of Time Series Analysis, 1994
W K Li
exaly  

Estimation of variance of housing prices using spatial conditional heteroskedasticity (SARCH) model with an application to Boston housing price data

Quarterly Review of Economics and Finance, 2014
Prodosh Simlai
exaly  

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Journal of Econometrics, 2004
Lutz Kilian
exaly